Are there some kind of firewall rules neccessary after a vpn connection is set up?

How did you configure the proxy from the client side? If you used OpenVPN Connect proxy settings, you have two reasons why the connection is not working. If you did not put a push directive in the .ovpn file or server side, your client is not using any proxy and the firewall drops the packets because they are trying a direct access. See the last few lines of this tutorial.